Selected applications on : Risk analysis and Rare event simulation

This webpage presents an overview of resources concerned with stochastic particle methods in risk analysis and rare event simulation.

Stochastic Hybrid Systems, Aircraft Conflits

Optics Communications Networks

Financial risk analysis

Biochemical networks

Satellite versus debris collisions

Networks and Queueing Systems

Rare event particle sampling models

Feynman-Kac particle models and performance analysis

This list of topics is clearly far from being exhaustive, and it is partially biased towards my work on stochastic particle models.
More references and links to this subject can be added on demand. This webpage also contains some articles on the particle and sequential Monte Carlo methodology,
and the performance analysis of these algorithms.

Software BiiPS

The software BIIPS is a general software developed by the INRIA team ALEA
for bayesian inference with interacting particle systems, a.k.a. Sequential Monte Carlo methods.
A demonstration of the BiiPS software for estimating the stochastic volatility of financial data can be found in